Which is the false?

A. If beta is sorted in the following order: Small Stocks > Mid-Cap Stocks > S & P500, the figure above is consistent with CAPM B. If the volatility of returns is the exact risk factor that explains stock returns, individual The lack of a clear relationship between a stock's volatility and return suggests that the market is not behaving normally. C. The reason why the relationship between portfolio volatility and return shows a stronger positive correlation than individual stocks is because the portfolio's return has the inherent risk removed. D. Among the S&P500, Mid-Cap Stocks, and Small Stocks portfolios, the reason why the S&P500 has the lowest return is because the number of stocks that make up the S&P500 is the largest, so the diversification effect is maximized.

25% Astocks 1-50 stocks 51-400 stocks 401-500 Small Stocks 2095 Mid-Cap Stocks 15% S&P 500 Historical Average Return 10% Corporate Bonds World Portfolio 3 Treasury Bilis O by 50% 10% 19 20% 25% 30% 36 40% 45% Historical Volatility standard deviation)